Neyman-Pearson Hedging and Dynamic Measures of Risk

Kohlmann, Michael

Neyman-Pearson Hedging and Dynamic Measures of Risk

Publikationstyp:	Working Paper/Technical Report
URI (zitierfähiger Link):	http://nbn-resolving.de/urn:nbn:de:bsz:352-opus-4941
Autor/innen:	Kohlmann, Michael
Erscheinungsjahr:	2000
Schriftenreihe:	CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie ; 2000/11
Zusammenfassung:	In both complete and incomplete markets we consider the problem of fulfilling a financial obligation x as well as possible at time T if the initial capital is not sufficient to hedge x. This introduces a new risk into the market and our main aim is to minimize this shortfall risk by making use of results from bsde theory.
Fachgebiet (DDC):	510 Mathematik
Schlagwörter:	capital requirement, hedging, Neyman-Pearson hedging, dynamic measures of risk, mean variance hedging
Link zur Lizenz:	Nutzungsbedingungen

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KOHLMANN, Michael, 2000. Neyman-Pearson Hedging and Dynamic Measures of Risk

@techreport{Kohlmann2000Neyma-696, series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie}, title={Neyman-Pearson Hedging and Dynamic Measures of Risk}, year={2000}, number={2000/11}, author={Kohlmann, Michael} }

2000 terms-of-use Neyman-Pearson Hedging and Dynamic Measures of Risk Kohlmann, Michael application/pdf Kohlmann, Michael In both complete and incomplete markets we consider the problem of fulfilling<br />a financial obligation x as well as possible at time T if the initial capital is not<br />sufficient to hedge x. This introduces a new risk into the market and our main<br />aim is to minimize this shortfall risk by making use of results from bsde theory. 2011-03-22T17:45:32Z 2011-03-22T17:45:32Z eng